- 學位論文
投資人情緒指標與股票報酬之研究
The Research of Investor Sentiment Indicators and the Stock Returns
摘要
有關於投資人情緒指標之建立目前尚無統一的規範或定義，因此國內外有許多的探討，然而，國內外學者所選取的情緒變數可能隨者投資市場的演進，已不能解釋”現代投資人的情緒”，本研究即以此為出發點，參考近期相關文獻所選取的情緒變數並考慮國內的股市結構，建立投資人情緒指標，以探討其所建立的情緒可否解釋台灣的股票報酬？另外，該投資人情緒指標是否可預測未來的動能策略報酬？ 本研究的投資人情緒指標採取主分分析法，選取週轉率、融資變動比率、融券變動比率、上漲家數除以下跌家數、台灣50基金溢(折)價、IPO首日報酬率與權證週轉率，合成一個情緒指標，本指標解釋力可達97.46%，頗符合”現代投資人的情緒”。 本研究使用多元迴歸模型分析，其實證結果顯示(1)投資人情緒與當期股票報酬間之係數為正，且具顯著性。(2)投資人情緒對持有期間為三個月與六個月的動能策略報酬將有正向影響，惟兩者間不具有顯著關聯性。綜合上述結果，本研究結果發現，投資人情緒指標能解釋當期的股票報酬，但對於未來的動能策略報酬無預測能力，因此，採用投資人情緒指標可能無法獲取超額報酬。
並列摘要
There have been many studies focusing on the investor sentiment, using different specifications or definitions of investor sentiment indicators. However, the proxies used to describe investor sentiment in past studies could not explain “contemporary investor sentiment”. Therefore, we intend to construct more appropriate investor sentiment indicators by considering the structure of the stock market in Taiwan to examine whether investor sentiment is positively related with the stock returns. In addition, this study further examines whether investor can be used to predict subsequent momentum profitability. In this study TURN 、 △MARGIN 、 △SHORTIR 、 ADVDEC 、 TTT 、RIPO and WARRANT are used by applying Principal Component Analysis(PCA) to construct an aggregate indicators of investor sentiment. The explanatory power of the aggregate indicators is 97.46%, meaning the effectiveness of these indicators. This study uses multiple regression analysis. The empirical results indicate that (1) the sentiment effect is positively associated with stock returns significant. and(2) The sentiment effect is insignificantly positively associated with both of the momentum profitability by holding securities in 3 or 6 months. In general, we find that investor sentiment indicators can be used to explain stock return in the current, but can not be used to predict momentum profitability in the future. Therefore, using investor sentiment indicators can not help to make an abnormal profit.